Historical VIX Patterns

With the VIX crossing 80 today, we are in unprecedented territory. History, however might give some clues as to when the volatility will settle down. The chart below shows how the VIX trends over time after spiking (data is below the chart). The higher the VIX, the quicker it falls back but at today's levels, it looks like high volatility will still be here for awhile.

When the VIX Closes Above 50 (18 Occurrences excluding today)1 month later, the average for the VIX falls to 81% of its current close2 months later, the average for the VIX falls to 71% of its current close3 months later, the average for the VIX falls to 65% of its current close4 months later, the average for the VIX falls to 51% of its current close5 months later, the average for the VIX falls to 49% of its current close6 months later, the average for the VIX falls to 47% of its current close

When the VIX Closes Above 40 (79 Occurrences excluding today)1 month later, the average for the VIX falls to 81% of its current close2 months later, the average for the VIX falls to 72% of its current close3 months later, the average for the VIX falls to 64% of its current close4 months later, the average for the VIX falls to 62% of its current close5 months later, the average for the VIX falls to 59% of its current close6 months later, the average for the VIX falls to 56% of its current close

When the VIX Closes Above 30 (412 Occurrences excluding today)1 month later, the average for the VIX falls to 86% of its current close2 months later, the average for the VIX falls to 78% of its current close3 months later, the average for the VIX falls to 73% of its current close4 months later, the average for the VIX falls to 71% of its current close5 months later, the average for the VIX falls to 69% of its current close6 months later, the average for the VIX falls to 67% of its current close